[{"abstract":[{"lang":"eng","text":"This paper evaluates the forecasting performance of an expanded class of (semi-)parametric \r\nGARCH models belonging to the EGARCH family (EGF), including recently introduced long  \r\nand short memory specifications and their semiparametric extensions. The semiparametric \r\nvariants employ a multiplicative volatility decomposition into conditional and slowly varying \r\nunconditional components, where the latter is estimated via a data-driven local polynomial \r\nsmoother to accommodate non-stationarities commonly observed in financial time series. Based \r\non the revised Basel Committee framework for market-risk assessment, all models are capable \r\nof producing rolling one-day-ahead forecasts for Value at Risk (VaR) and Expected Shortfall \r\n(ES) under a wide range of symmetric and skewed innovation distributions. Their forecasting \r\naccuracy is examined using the regulatory traffic light tests for VaR and the recently developed \r\nES-specific traffic light procedure, complemented by the regulatory loss function. In addition, \r\nmodel selection incorporates both a recently proposed corrected firm-oriented loss function that \r\naccounts for opportunity costs and the Weighted Absolute Deviation (WAD) criterion. The \r\nempirical comparison demonstrates that (semiparametric) long memory GARCH models - \r\nparticularly those combining fractional dynamics with nonparametric scale adjustments - can \r\nserve as valuable alternatives to traditional parametric short memory models, offering more \r\nstable volatility estimates and improved tail-risk forecasts for practical risk management \r\napplications."}],"citation":{"chicago":"Hanke, Dominik Christian, André Uhde, and Yuanhua Feng. <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>, 2026.","short":"D.C. Hanke, A. Uhde, Y. Feng, Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III, 2026.","ieee":"D. C. Hanke, A. Uhde, and Y. Feng, <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>. 2026.","apa":"Hanke, D. C., Uhde, A., &#38; Feng, Y. (2026). <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>.","bibtex":"@book{Hanke_Uhde_Feng_2026, title={Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III}, author={Hanke, Dominik Christian and Uhde, André and Feng, Yuanhua}, year={2026} }","ama":"Hanke DC, Uhde A, Feng Y. <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>.; 2026.","mla":"Hanke, Dominik Christian, et al. <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>. 2026."},"file_date_updated":"2026-07-13T09:21:45Z","department":[{"_id":"200"},{"_id":"186"}],"oa":"1","type":"working_paper","keyword":["semiparametric GARCH extension","data-driven local polynomial smoother","long  memory","GARCH models","Value at Risk","Expected Shortfall","traffic light test","backtesting","Basel  III","market risk"],"date_created":"2026-07-13T09:21:49Z","file":[{"date_created":"2026-07-13T09:21:45Z","creator":"dhanke","file_id":"66450","content_type":"application/pdf","relation":"main_file","date_updated":"2026-07-13T09:21:45Z","file_name":"TAF_WP_105_HankeUhdeFeng2026.pdf","access_level":"open_access","file_size":1830858}],"has_accepted_license":"1","date_updated":"2026-07-16T09:07:19Z","jel":["C22","C4","C5","C6","B26"],"author":[{"id":"63677","full_name":"Hanke, Dominik Christian","last_name":"Hanke","first_name":"Dominik Christian"},{"id":"36049","full_name":"Uhde, André","first_name":"André","last_name":"Uhde"},{"full_name":"Feng, Yuanhua","first_name":"Yuanhua","last_name":"Feng","id":"20760"}],"title":"Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III","status":"public","year":"2026","user_id":"63677","ddc":["330"],"language":[{"iso":"eng"}],"_id":"66449"},{"date_updated":"2022-01-06T06:51:08Z","intvolume":"         4","year":"2002","title":"Employment of a multipath receiver structure in a combined GALILEO/UMTS receiver","author":[{"full_name":"Bischoff, Renke","last_name":"Bischoff","first_name":"Renke"},{"id":"242","full_name":"Haeb-Umbach, Reinhold","first_name":"Reinhold","last_name":"Haeb-Umbach"},{"last_name":"Schulz","first_name":"Wolfgang","full_name":"Schulz, Wolfgang"},{"full_name":"Heinrichs, Guenther","first_name":"Guenther","last_name":"Heinrichs"}],"doi":"10.1109/VTC.2002.1002940","main_file_link":[{"open_access":"1","url":"https://groups.uni-paderborn.de/nt/pubs/2002/BiHaScHe02.pdf"}],"language":[{"iso":"eng"}],"abstract":[{"lang":"eng","text":"Current navigation systems like GPS (Global Positioning System) and its Russian counterpart GLONASS (Global Navigation Satellite System) only evaluate the direct signal path. The receivers treat the reflected paths also reaching the receiver antenna as disturbance which has to be suppressed. Multipath affects the tracking accuracy by resulting in a degeneration of the S-curve of the DLL (delay locked loop). Nowadays the future European systems GALILEO and GPSIIF/III with two new signals are on the way to the market and it is time to think about new receiver structures. Therefore we investigated if it is possible to use multipath for navigation constructively."}],"publication":"IEEE 55th Vehicular Technology Conference (VTC 2002 Spring)","keyword":["combined GALILEO/UMTS receiver","delay locked loop","delay lock loops","DLL","Global Positioning System","GLONASS","GPS","GPSIIF/III","mobile satellite communication","multipath channels","multipath receiver structure","radio receivers","RAKE receiver","S-curve"],"type":"conference","department":[{"_id":"54"}],"date_created":"2019-07-12T05:27:12Z","status":"public","user_id":"44006","volume":4,"page":"1844-1848 vol.4","_id":"11733","citation":{"apa":"Bischoff, R., Haeb-Umbach, R., Schulz, W., &#38; Heinrichs, G. (2002). Employment of a multipath receiver structure in a combined GALILEO/UMTS receiver. In <i>IEEE 55th Vehicular Technology Conference (VTC 2002 Spring)</i> (Vol. 4, pp. 1844–1848 vol.4). <a href=\"https://doi.org/10.1109/VTC.2002.1002940\">https://doi.org/10.1109/VTC.2002.1002940</a>","ieee":"R. Bischoff, R. Haeb-Umbach, W. Schulz, and G. Heinrichs, “Employment of a multipath receiver structure in a combined GALILEO/UMTS receiver,” in <i>IEEE 55th Vehicular Technology Conference (VTC 2002 Spring)</i>, 2002, vol. 4, pp. 1844–1848 vol.4.","short":"R. Bischoff, R. Haeb-Umbach, W. Schulz, G. Heinrichs, in: IEEE 55th Vehicular Technology Conference (VTC 2002 Spring), 2002, pp. 1844–1848 vol.4.","chicago":"Bischoff, Renke, Reinhold Haeb-Umbach, Wolfgang Schulz, and Guenther Heinrichs. “Employment of a Multipath Receiver Structure in a Combined GALILEO/UMTS Receiver.” In <i>IEEE 55th Vehicular Technology Conference (VTC 2002 Spring)</i>, 4:1844–48 vol.4, 2002. <a href=\"https://doi.org/10.1109/VTC.2002.1002940\">https://doi.org/10.1109/VTC.2002.1002940</a>.","mla":"Bischoff, Renke, et al. “Employment of a Multipath Receiver Structure in a Combined GALILEO/UMTS Receiver.” <i>IEEE 55th Vehicular Technology Conference (VTC 2002 Spring)</i>, vol. 4, 2002, pp. 1844–48 vol.4, doi:<a href=\"https://doi.org/10.1109/VTC.2002.1002940\">10.1109/VTC.2002.1002940</a>.","ama":"Bischoff R, Haeb-Umbach R, Schulz W, Heinrichs G. Employment of a multipath receiver structure in a combined GALILEO/UMTS receiver. In: <i>IEEE 55th Vehicular Technology Conference (VTC 2002 Spring)</i>. Vol 4. ; 2002:1844-1848 vol.4. doi:<a href=\"https://doi.org/10.1109/VTC.2002.1002940\">10.1109/VTC.2002.1002940</a>","bibtex":"@inproceedings{Bischoff_Haeb-Umbach_Schulz_Heinrichs_2002, title={Employment of a multipath receiver structure in a combined GALILEO/UMTS receiver}, volume={4}, DOI={<a href=\"https://doi.org/10.1109/VTC.2002.1002940\">10.1109/VTC.2002.1002940</a>}, booktitle={IEEE 55th Vehicular Technology Conference (VTC 2002 Spring)}, author={Bischoff, Renke and Haeb-Umbach, Reinhold and Schulz, Wolfgang and Heinrichs, Guenther}, year={2002}, pages={1844–1848 vol.4} }"},"oa":"1"}]